And an adapt() in fCopulae.
--
David.
On Jul 2, 2010, at 7:06 PM, Ravi Varadhan wrote:
There is no package called `integrate', but there is a function called
`adaptIntegrate' in the "cubature" package.
Ravi.
-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org
] On
Behalf Of Christos Argyropoulos
Sent: Friday, July 02, 2010 8:41 AM
To: sarah_sanche...@yahoo.com; r-help@r-project.org
Subject: Re: [R] Double Integration
Function adapt in package integrate maybe?
Date: Thu, 1 Jul 2010 05:30:25 -0700
From: sarah_sanche...@yahoo.com
To: r-help@r-project.org
Subject: [R] Double Integration
Dear R helpers
I am working on the Bi-variate Normal distribution probabilities. I
need
to double integrate the following function (actually simplified form
of
bivariate normal distribution)
f(x, y) = exp [ - 0.549451 * (x^2 + y^2 - 0.6 * x * y) ]
where 2.696 < x < 3.54 and -1.51 < y < 1.98
I need to solve something like
INTEGRATE (2.696 to 3.54) dx INTEGRATE [(-1.51 to 1.98)] f(x, y) dy
I have referred to stats::integrate but it deals with only one
variable.
This example appears in Internal Credit Risk Model by Michael Ong
(page
no. 160).
Kindly guide.
Regards
Sarah
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______________________________________________
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David Winsemius, MD
West Hartford, CT
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